Hypothesis Tests on Asymmetric Error Correction Model

Description

Usage

Arguments

w

an object of 'ecmAsyFit' class.

digits

number of digits used in rounding outputs.

Details

There are two ECM equations for the two price series. In each equation, four types of hypotheses are tested; equilibrium adjustment path symmetry on the error correction terms (H1), Granger causality test (H2), distributed lag symmetry at each lag (H3), and cumulative asymmetry of all lags (H4). The latter two tests are only feasible and availabe for models with split variables. The number of H3 tests is equal to the number of lags.